Minimax Impulse Control Problems in Finite Horizon

2013/05/04 by Brahim El Asri, Asri, Brahim El · 1 citation
Computer Science · Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Nonlinear Partial Differential Equations #Optimization and Control (math.OC) #Optimization and Variational Analysis #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1305.0914

openalex publication_date 2013/05/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We consider the problem of impulse control minimax in finite horizon, when cost functions (C(t,x,ξ)>0). We show existence of value function of the problem. Moreover, the value function is characterized as the unique viscosity solution of an Isaacs quasi-variational inequality. This problem is in relation with an application in mathematical finance.

Cited by

• The Finite Horizon impulse control Problem with arbitrary cost functions : the Viscosity Solution Approach

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